Reduce Slippage on Streak

Algos, strategies, code
1

I have been using Steak for few months now. I have calculated,i have lost more than 2 Lakhs as slippages ( With 2 month Timeframe). Which is a lot for a small trader like me. For example order triggers at 340 executed at 380-390. My average slippages is about +10 points. Which a lot in options. I am using Trade Rocket plugin.

I dont want my orders getting executed if the slippage is more than perticular % or say 3-5 points. If i have to do this manually… Streak is useless to me.

Is there a way in Streak to avoid my order completely if price moved from the trigger point to more than 5 points.(in options). I heard there is option like market protection in some other brokers.

Please let me know.

Thanks
Samie

2

Hey @Abdul_Samie, the orders are executed at the exchange so execution, unfortunately, cannot be controlled. However, Streak has recently added a Limit order feature that allows users to preset slippage points just as you mentioned. The instruction manual for this is currently getting worked upon, so I’ll share briefly how to use it here.

When you deploy a strategy, in the Pre-deployment window, set the order type as Limit and set the Default price as either OHLC or LTP.

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Then add a buffer lets say 3.5, This would place the order at LTP+3.5 points or trigger candle HIGH+3.5 points. The advantage of using this your slippage cost is up to you and the order would basically act as a market order and get executed immediately. But the execution of course is not guaranteed, especially during a rally or a fall when slippage cost is at its highest.
If you want to short, you can add “-3.5”

***** Update *****
When you keep a positive Buffer price like in the above case +3.5, it will add 3.5 to the Entry Order and subtract 3.5 from the Exit order i.e order generated when EXIT(EX) trigger is met. SL and TP will remain MARKET as before.

Example:
Your Entry condition of EMA10 crossing above EMA21 is met at 10:30 AM and entry(EN) got triggered when the price was INR 265.00. You have set the order type as Limit and a Buffer of 0.5 INR. so your order sent to the exchange would be 265+0.5= 265.5 INR. High Probability that this order would execute immediately like MARKET.

Your Exit condition of EMA 10 crossing below EMA21 is met at 1:30 PM and exit(EX) got triggered when the price was INR 271.00. Since you had set the order type as Limit and Buffer as 0.5 INR. so your order sent to the exchange would be 271-0.5=270.5 INR.

Similarly, if you keep a negative Buffer price like in the above case-3.5, it will subtract 3.5 from the Entry Order and add 3.5 to the Exit order i.e order generated when EXIT(EX) trigger is met.

Example:
Your Entry condition of EMA10 crossing above EMA21 is met at 10:30 AM and entry(EN) got triggered when the price was INR 265.00. You have set the order type as Limit and a Buffer of (-)0.5 INR. so your order sent to the exchange would be 265-0.5= 264.5 INR. Low Probability that this order would execute immediately since order price is lower than the current price.

Your Exit condition of EMA 10 crossing below EMA21 is met at 1:30 PM and exit(EX) got triggered when the price was INR 271.00. Since you had set the order type as Limit and Buffer as (-)0.5 INR. so your order sent to the exchange would be 271- ( (-)0.5)=271.5 INR.

Let me know if you have any questions.

4 Likes
3

OK… Thank you Krishnendu,

Yes…i believe…i am looking for the limit orders… + buffer…only. May be.

Looking fwd to it. Let me Try.

Thanks
Samie

4

Hi @Krishnendu , thanks a lot for this.

I had one question, will this be placed and executed as a limit order in Zerodha? I got a bit confused after I read “basically act as a market order” in your solution.

Also, can you please share the instruction manual if it’s completed?

Thank you once again.

5

A limit order higher than the current LTP gets executed immediately but if the LTP changes within a few mili seconds and the LTP is higher than the Limit price, it will remain pending till the price comes lower or equal to the Limit price.

If you do not understand this, reffer

1 Like
6

Thanks, I got it!

8

I am trying limit order as explained above. Limit order is being placed for entry, but for exit it is placing only market order. This leads to loss as well. Please guide how to place limit for exit if something to be taken care except above points.

9

Are you exiting via TP/SL or an exit condition? What is your exit condition?

Can you share the strategy link?

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Exiting through SL/TP. See attached

screenshot
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11

Which exit criteria is getting triggered?

Note

12

@Krishnendu

If I understand correctly, Slippage is fractional time delay between
Price and indicator data coming in to streak from exchange and algo reading it and executing the trigger and sending back to exchange. (I do not know how indicator data forms- whether streak or broker platform calculates the same of exchange supplies. But that is irrelevant in this dscussion)

So even if there is a gap between trigger and execution, STREAK is MUCH faster than us doing it manually. So I I cannot say streak is of no use

iF TRIGGER TIME price was 265 and buffer= 0.5 then order sent is 270
This will ensure entry.
But what @Abdul_Samie wanted is NOT to enter if price has gone up from trigger time

So should I not keep buffer = - 0.5 ? then 265 - 0.5 = 264.5

and so IF price came down I enter at lower price. if price went up I do not enter

But then SL say = 5 points
In this case SL will become 5+ 0.5 = 5.5
Not 5 - 0.5 = 4.5

HOWEVER SL gets triggered at LTP and so INCREASING SL is also not desired as it gets triggered many times immdtly on BUY (unless I have modified exit conditions suitably)

What do you say?

Now

  1. How does Deployment time LIMIT order help? I get the buffer logic
    But IS MKT ORDER not best? MKT order gets executed at price that is there.